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Strategy-Proof Estimators for Simple Regression

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Abstract

In this paper we propose a whole class of estimators (“clockwise repeated median estimators” or CRM) for the simple regression model that are immune to manipulation by the agents generating the data. Although strategic considerations affecting the stability of the estimated parameters in regression models have already been studied (the Lucas critique), few efforts have been made to design estimators that are incentive compatible. We find that some well-known robust estimators proposed in the literature like the resistant line method are included in our family. Finally, we also undertake a Monte Carlo study to compare the distribution of some estimators that are robust to data manipulation with the OLS estimators under some specific data manipulation process.

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Bibliographic Info

Paper provided by Centro de Estudios Andaluces in its series Economic Working Papers at Centro de Estudios Andaluces with number E2003/14.

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Length: 42 pages
Date of creation: 2003
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Handle: RePEc:cea:doctra:e2003_14

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Keywords: strategy-proofness; single-peaked preferences; robust regression; data contamination.;

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  1. H. Moulin, 1980. "On strategy-proofness and single peakedness," Public Choice, Springer, Springer, vol. 35(4), pages 437-455, January.
  2. Salvador Barbera & Matthew Jackson, 1991. "A Characterization of Strategy-Proof Social Choice Functions for Economies with Pure Public Goods," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 964, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Gibbard, Allan, 1973. "Manipulation of Voting Schemes: A General Result," Econometrica, Econometric Society, Econometric Society, vol. 41(4), pages 587-601, July.
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Cited by:
  1. Javier Perote & Juan Perote-Peña & Marc Vorsatz, 2012. "Strategic behavior in regressions: an experimental," Working Papers 2012-07, FEDEA.

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